Title :
Optimal consumption by a bond investor: the case of random interest rate adapted to a point process
Author :
Lakner, P. ; Slud, Eric
Author_Institution :
Stern Sch. of Bus., New York Univ., NY, USA
Abstract :
The authors present a summary of previous work (P. Lakner and E. Slud, SIAM J. Control Optimization, forthcoming). Considered is a problem of optimal consumption, on a finite continuous time horizon [0. T], by an agent who has initial wealth x>0 and invests the unconsumed wealth in a single bond. The optimal consumption process is characterized in terms of a positive martingale satisfying an almost sure condition. Existence of the characterizing martingale is discussed
Keywords :
integral equations; investment; random processes; almost sure condition; bond investor; characterizing martingale; existence; finite continuous time horizon; integral equations; optimal consumption; point process; positive martingale; random interest rate; random processes; unconsumed wealth; Bonding; Boundary conditions; Computer aided software engineering; Economic indicators; Q measurement;
Conference_Titel :
Decision and Control, 1990., Proceedings of the 29th IEEE Conference on
Conference_Location :
Honolulu, HI
DOI :
10.1109/CDC.1990.204042
